How to deal with 45deg angles and sqrt2 multiples?
Select the edge from where you want to have a wall at an angle. Extrude along one axis by pressing E then the axis you want to extrude along and typing the distance. Press Enter. Then move along the other axis by the same distance. In the GIF below, I used E -> X -> 2 -> Enter to extrude by 2 BU along the X axis then G -> Y -> 2 -> Enter to move the new edge by 2 BU along the Y axis.
If the wall gets its normal in the wrong direction, select the face and press CtrlN to point the normals outwards or ShiftCtrlN to point the normals inwards.